Purpose <p>To evaluate the association between blood lipids and cognitive function in individuals with Diabetes mellitus (DM), as well as potential sex differences in this relationship.</p> Methods <p>Cross-sectional study carried out in a clinical school from Southern Brazil with individuals with DM aged 18 or older. Cognitive function was assessed by the Montreal Cognitive Assessment (MoCA) scale, and a score of less than 21 points was classified as cognitive impairment. The blood lipids evaluated were total cholesterol (TC), low-density lipoprotein (LDL), high-density lipoprotein (HDL), and triglycerides (TG). Descriptive analyses were presented, and to evaluate the associations, crude and adjusted logistic regression were used, with the results presented as Odds Ratio (OR) and their 95% confidence intervals (CI). Sex-stratified analyses of the associations were performed.</p> Results <p>In total, 365 individuals were studied, of whom 67.9% were classified with cognitive impairment. High TC, LDL, and TG were seen in 38.1%, 70.4% and 50.7% of the participants, respectively, while low HDL was observed in 42.5% of the sample. No associations were observed for TC, LDL, HDL, or TG and cognitive impairment in the crude or adjusted analysis, whether in the total population or the sex-stratified analysis.</p> Conclusion <p>These findings indicated the need for evidence on the risk factors and mechanisms involved in the DM-related cognitive impairment and suggest that longitudinal studies may be essential to identify long-term and subtle risk factors.</p>